总风险约束的委托组合投资管理激励契约

假设管理者投资组合受总风险约束,通过委托代理模型和数值分析研究委托组合投资管理中基于业绩的线性契约激励效应.研究结论表明: 在总风险约束下,基于业绩的线性契约能激励管理者努力搜集私人信息;风险厌恶的管理者的期望效用和最优努力水平是其收益分享比例的增函数;总风险约束下的管理者的努力水平低于不存在风险约束时的努力水平,风险约束导致管理者信息价值的损失.研究结论从一个侧面解释了委托组合投资管理实务中线性契约被广泛采用的原因,并为私募基金风险管理和契约设计提供参考.

Incentive contract in delegated portfolio management under total risk constraint

This paper studies the incentive of linear performance-adjusted contract in the delegated portfolio management under total risk constraints by a principal-agent model and numerical methods.Results show that linear performance-adjusted contract provides incentives to portfolio manager to work at acquiring private information under total risk constraints.The expected utility and optimal effort are increase function of the sharing ratio of the return of the portfolio to a risk-averse manager.Total risk constraint makes portfolio manager to reduce effort in gathering private information.The effort of portfolio manager under total risk constraints is less than that without total risk constraints.This result means that the total risk constraint makes information value of the manager to lose.Our conclusions explain the reason why the linear contract is popular in the delegated portfolio management,and provide references for the risk management and the contract design of the private fund.